An extension of mean-variance hedging to the discontinuous case

Takuji Arai

doi:10.1007/s00780-004-0136-5

An extension of mean-variance hedging to the discontinuous case

Takuji Arai

Research output: Contribution to journal › Article › peer-review

34 Citations (Scopus)

Abstract

Our goal in this paper is to give a representation of the mean-variance hedging strategy for models whose asset price process is discontinuous as an extension of Gouriéroux, Laurent and Pham (1998) and Rheinländer and Schweizer (1997). However, we have to impose some additional assumptions related to the variance-optimal martingale measure.

Original language	English
Pages (from-to)	129-139
Number of pages	11
Journal	Finance and Stochastics
Volume	9
Issue number	1
DOIs	https://doi.org/10.1007/s00780-004-0136-5
Publication status	Published - 2005 Jan 1
Externally published	Yes

Keywords

Incomplete market
Mean-variance hedging
Reverse Hölder inequality
Variance-optimal martingale measure

ASJC Scopus subject areas

Statistics and Probability
Finance
Statistics, Probability and Uncertainty

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10.1007/s00780-004-0136-5

Cite this

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AB - Our goal in this paper is to give a representation of the mean-variance hedging strategy for models whose asset price process is discontinuous as an extension of Gouriéroux, Laurent and Pham (1998) and Rheinländer and Schweizer (1997). However, we have to impose some additional assumptions related to the variance-optimal martingale measure.

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KW - Variance-optimal martingale measure

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An extension of mean-variance hedging to the discontinuous case

Abstract

Keywords

ASJC Scopus subject areas

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